Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0077 |
| Annualized Std Dev | 0.2276 |
| Annualized Sharpe (Rf=0%) | 0.0339 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5587.0000 |
| NAs | 1.0000 |
| Minimum | -0.2095 |
| Quartile 1 | -0.0048 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0055 |
| Maximum | 0.2757 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0002 |
| Stdev | 0.0143 |
| Skewness | 1.1478 |
| Kurtosis | 75.1777 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0101 |
| Gain Deviation | 0.0121 |
| Loss Deviation | 0.0126 |
| Downside Deviation (MAR=210%) | 0.0145 |
| Downside Deviation (Rf=0%) | 0.0101 |
| Downside Deviation (0%) | 0.0101 |
| Maximum Drawdown | 0.6263 |
| Historical VaR (95%) | -0.0168 |
| Historical ES (95%) | -0.0322 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | NA |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2020-02-21 | 2020-03-23 | NA | -0.6263 | 273 | 22 | NA |
| 2005-07-13 | 2009-03-09 | 2011-05-31 | -0.6010 | 1482 | 920 | 562 |
| 1999-01-20 | 1999-12-22 | 2005-01-25 | -0.2932 | 1512 | 235 | 1277 |
| 2012-07-02 | 2013-12-13 | 2016-04-06 | -0.2604 | 946 | 366 | 580 |
| 2016-08-01 | 2018-12-20 | 2019-09-05 | -0.2491 | 780 | 603 | 177 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0.5 | 2.2 | -0.6 | -0.6 | -0.6 | -0.6 | -0.6 | 0.6 | 0 | 0.6 | 0 | 2.9 | 4 |
| 2000 | 0 | 0 | -0.7 | 1.3 | 0 | -1.3 | 0 | 1.2 | -0.6 | 0.6 | 0.6 | 0.6 | 1.8 |
| 2001 | 0.1 | 1 | 0 | 1.2 | 0.2 | 0 | -0.1 | 0.3 | 0.5 | 1.1 | 0 | 0.8 | 5.2 |
| 2002 | 0.4 | 0.5 | 1.1 | -0.1 | 0 | 0.5 | 1.5 | 1 | 1.2 | 0.9 | 1.7 | 1.6 | 10.7 |
| 2003 | -1.7 | 0.5 | -1.3 | -0.3 | -1 | 0 | -0.9 | 1.7 | 1.1 | 0.8 | -1.8 | -1 | -3.7 |
| 2004 | -0.8 | 0.6 | -0.6 | -1 | 1.5 | 0 | 0.8 | 0.6 | 0 | 0.2 | 0.8 | 0.1 | 2.1 |
| 2005 | -1.6 | -0.2 | -0.1 | -0.8 | 1.1 | 0.7 | 0.5 | 0.3 | -0.6 | -0.6 | -0.3 | 0 | -1.5 |
| 2006 | -0.7 | 0.7 | -2.2 | 0 | 1.7 | 0.5 | 0.4 | 0.9 | 0.2 | -0.1 | -0.4 | 0.6 | 1.5 |
| 2007 | 0 | -0.5 | -0.1 | 0 | 0.1 | 1 | -0.8 | 1 | 0.6 | -1.5 | 0.8 | 1.2 | 1.8 |
| 2008 | 1 | -1.1 | 3.2 | 0.2 | 0.2 | -0.4 | -0.6 | -0.5 | 0.9 | 3.1 | -2.5 | 3.6 | 7.2 |
| 2009 | -1.9 | -1.1 | 1.4 | 1.7 | 4 | -0.1 | 0.1 | -1.6 | -2.4 | -1.7 | 1.2 | -0.4 | -1 |
| 2010 | 0.4 | 0.6 | 0.6 | -0.2 | -1 | 0.3 | 0 | 0.6 | 0.6 | -0.4 | -0.2 | 0.9 | 2.2 |
| 2011 | 0.6 | -1.4 | 0.2 | 0.3 | -0.2 | 0.1 | 4.5 | -0.2 | -0.5 | -0.2 | 0.2 | 2.6 | 6 |
| 2012 | -0.4 | 0.4 | 0.3 | 0.9 | -1.3 | 9.1 | -0.3 | 0 | 0.2 | -0.1 | 0.5 | 1.4 | 10.8 |
| 2013 | -0.1 | 0.6 | 0.8 | -0.2 | -2.6 | -0.2 | -0.5 | 0.2 | 0.1 | -0.2 | -0.2 | -0.2 | -2.3 |
| 2014 | 0.5 | -0.2 | 0 | 0.4 | 0.1 | -0.2 | 0.1 | 0.7 | 0.3 | 0.4 | -0.6 | -0.5 | 1.1 |
| 2015 | 0.7 | -0.1 | 0.6 | -0.1 | -0.2 | -0.4 | 0.7 | -0.7 | 0.6 | 1.2 | 1 | 0.7 | 4.1 |
| 2016 | 0.5 | 0.6 | 0.4 | 0.1 | 1.1 | 1.8 | -0.3 | -0.6 | 0.6 | -1.2 | -1.4 | 0.3 | 2 |
| 2017 | -0.2 | -0.1 | -0.1 | -1 | 0.7 | 0.1 | 0.9 | 0.3 | 0.6 | 0.1 | 0.2 | 0.2 | 1.7 |
| 2018 | -1.5 | -0.2 | 1 | 0 | -0.1 | 0.9 | 0.1 | 0.2 | -0.6 | 0.3 | 1.1 | -0.4 | 0.7 |
| 2019 | -0.6 | -0.1 | -0.6 | -0.2 | -1 | 0.2 | 0.8 | -0.1 | 0.4 | -0.2 | 0.4 | 0.9 | 0 |
| 2020 | -0.3 | -6.9 | -13.3 | -5.7 | 2.3 | 1.6 | 1 | -1.1 | 0.5 | 0.9 | -0.5 | 1.4 | -19.4 |
| 2021 | 0.4 | -0.4 | 0.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.7 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
